Maximum Conditional Entropy Hamiltonian Monte Carlo Sampler

DOI10.1137/20M1341192OpenAlexW3198001640MaRDI QIDQ5161775

Jinglai Li, Hongqiao Wang, Tengchao Yu

Publication date: 1 November 2021

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.05275

zbMATH Keywords

Markov chain Monte CarloKolmogorov-Sinai entropyHamiltonian Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Uses Software

• UCI-ml
• Stan
• aplore3
• BayesDA
• GitHub
• NUTS

Cites Work

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• The No-U-Turn Sampler: Adaptively Setting Path Lengths in Hamiltonian Monte Carlo
• Maximum Kolmogorov-Sinai entropy versus minimum mixing time in Markov chains
• Optimal tuning of the hybrid Monte Carlo algorithm
• Solving large-scale PDE-constrained Bayesian inverse problems with Riemann manifold Hamiltonian Monte Carlo
• Log Gaussian Cox Processes
• Riemann Manifold Langevin and Hamiltonian Monte Carlo Methods
• Applied Logistic Regression
• Bayesian computation for Log-Gaussian Cox processes: a comparative analysis of methods
• An adaptive Metropolis algorithm

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